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- Ahani, Narges, et al.
(författare)
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Placement Optimization in Refugee Resettlement
- 2021
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Ingår i: Operations Research. - : Institute for Operations Research and the Management Sciences (INFORMS). - 0030-364X .- 1526-5463. ; 69:5, s. 1468-1486
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Tidskriftsartikel (refereegranskat)abstract
- Every year, tens of thousands of refugees are resettled to dozens of host countries. Although there is growing evidence that the initial placement of refugee families profoundly affects their lifetime outcomes, there have been few attempts to optimize resettlement decisions. We integrate machine learning and integer optimization into an innovative software tool, Annie™ Matching and Outcome Optimization for Refugee Empowerment (Annie™ Moore), that assists a U.S. resettlement agency with matching refugees to their initial placements. Our software suggests optimal placements while giving substantial autonomy to the resettlement staff to fine-tune recommended matches, thereby streamlining their resettlement operations. Initial back testing indicates that Annie™ can improve short-run employment outcomes by 22%–38%. We conclude by discussing several directions for future work.
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| 2. |
- Post, Thierry, et al.
(författare)
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Risk Arbitrage Opportunities for Stock Index Options
- 2021
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Ingår i: Operations Research. - : Institute for Operations Research and the Management Sciences (INFORMS). - 0030-364X .- 1526-5463. ; 69:1, s. 100-113
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Tidskriftsartikel (refereegranskat)abstract
- To analyze the economic signicance of pricing errors of stock index options, a system of linear inequalities is developed which completely characterizes all risk arbitrage opportunities which arise if a well-behaved pricing kernel does not exist. The Stochastic Arbitrage system can account for market imperfections in the form of transactions costs and general portfolio restrictions. An active trading strategy based on the Stochastic Arbitrage system for front-month S&P500 stock index options yields signicant abnormal returns out of sample, for small-scale portfolios. However, outperformance seems elusive if the strategy is scaled up and market depth is taken into account.
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